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In The News

Spreadsheet Shootout

from Derivatives Strategy

by Andrew Webb and David Little

Savvysoft was founded by Richard Tanenbaum, the former head of derivatives research at Bankers Trust from 1984 to 1990. The companys TOPS (Tanenbaum Option Pricing Software) product line consists of some 62 models organized into six principal groups: TOPS CL (classic options), TOPS ST (strip of options), TOPS MA (multiple risky asset derivatives), TOPS PD (path-dependant derivatives), TOPS CV (convertible bonds) and TOPS MBS (mortgage-backed securities).

Each TOPS model can value multiple derivative structures and is distinguished by TOPS Power Ranges, which allow for changing strikes, step-up and step-down coupons, amortizing balances, accreting balances, as well as full yield curves, full volatility curves, and full forward price curves. In addition, each TOPS option model handles European, American and Bermudan exercise. TOPS models can be combined in order to provide flexibility in handling as wide a range of derivative products as possible.

Little : The Tanenbaum Options Pricing Software is focused on the markets and products that most systems lack and most desks need. It has excellent coverage for a wide range of exotic swaps and options. Everything is accessible through a TOPS button on the Excel Toolbar. The button gives you a menu of transaction types covered - choose one and you are led through a wizard that selects the correct models and pastes them into the sheet. It can handle quantos, lookbacks, choosers, options on spreads and it even takes a shot at MBS theoretical pricing. The two-volume documentation is excellent. If you need something to support only the exotic part of your trading operation, this is probably the package for you. It is relatively straight-forward and, because it limits itself to a subset of the markets, it covers that niche extremely well.


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